Search results for: stock forecasting

Authors: L. Feleagă, M. Dumitrașcu, N. Feleagă

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This article is a research on corporate governance. The aim of the study is to focus a special attention on the importance of corporate social responsibility and corporate governance, which are relevant, indeed necessary, for organizations. In this regard, we analyzed the corporate social responsibility in the context of corporate governance for companies listed on Bucharest and Bombay Stock Exchange. Therefore, we bring into the spotlight some differences between India and Romania linked with the importance ascribed to corporate social responsibility of a company. We presented the results of the demarche and we concluded suggestions regarding further research in this area. The study increases the awareness, identifies and articulates desirable behaviors, which are not intended to be exhaustive.

Keywords: corporate governance, corporate social responsibility, disclosure, listed companies

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Authors: Jonathan Iworiso

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Forecasting the equity premium out-of-sample is a major concern to researchers in finance and emerging markets. The quest for a superior model that can forecast the equity premium with significant economic gains has resulted in several controversies on the choice of variables and suitable techniques among scholars. This research focuses mainly on the application of Regression Training (RT) techniques to forecast monthly equity premium out-of-sample recursively with an expanding window method. A broad category of sophisticated regression models involving model complexity was employed. The RT models include Ridge, Forward-Backward (FOBA) Ridge, Least Absolute Shrinkage and Selection Operator (LASSO), Relaxed LASSO, Elastic Net, and Least Angle Regression were trained and used to forecast the equity premium out-of-sample. In this study, the empirical investigation of the RT models demonstrates significant evidence of equity premium predictability both statistically and economically relative to the benchmark historical average, delivering significant utility gains. They seek to provide meaningful economic information on mean-variance portfolio investment for investors who are timing the market to earn future gains at minimal risk. Thus, the forecasting models appeared to guarantee an investor in a market setting who optimally reallocates a monthly portfolio between equities and risk-free treasury bills using equity premium forecasts at minimal risk.

Keywords: regression training, out-of-sample forecasts, expanding window, statistical predictability, economic significance, utility gains

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Authors: Juniarti, Agus Arianto Toly

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This study aims to examine the effect of capital expenditure on the investors’ responses. The respondents were companies with the best stock performance in each sector in 2017. The observation period is 2017 to 2019. Top 10 companies in each sector with the best stock performance in companies listed on the Indonesia Stock Exchange were selected. The main variables are a growth signal which is proxied by growth in capital spending and capital expenditure, and risk and investor response, which is proxied by CAR. Financial performance as measured by ROA is a control variable in this study. The results showed that the signal of growth as measured by capital expenditures responded positively by the market, the risk moderates this influence, companies with high risk will be responded negatively by investors and vice versa. This finding corrects previous findings that only looked at the signal aspect of growth, without linking it to risk. In addition, these findings reinforce the argument that investors buy the future of the company, not a momentary financial performance. This can be seen from the absence of ROA influence on investor response. This study found that companies need to manage risk appropriately, because the risk aspect of the company is a crucial factor for investors. High risks will eliminate the benefits of strategic decisions in this case in the form of capital expenditures.

Keywords: capital expenditure, growth signals, investor response, risk

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Authors: Mussa Hussaini, Supasith Chonglerttham

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Stocks are usually classified according to their characteristics which are unique enough such that the performance of each category can be differentiated from another. The reasons behind such classifications in the financial market are sometimes financial innovation or it can also be because of finding a premium in a group of stocks with similar features. One of the major classifications in stocks market is called momentum strategy. Based on this strategy stocks are classified according to their past performances into past winners and past losers. Momentum in a stock market refers to the idea that stocks will keep moving in the same direction. In other word, stocks with rising prices (past winners stocks) will continue to rise and those stocks with falling prices (past losers stocks) will continue to fall. The performance of this classification has been well documented in numerous studies in different countries. These studies suggest that past winners tend to outperform past losers in the future. However, academic research in this direction has been limited in countries such as Thailand and to the best of our knowledge, there has been no such study in Thailand after the financial crisis of 1997. The significance of this study stems from the fact that Thailand is an open market and has been encouraging foreign investments as one of the means to enhance employment, promote economic development, and technology transfer and the main equity market in Thailand, the Stock Exchange of Thailand is a crucial channel for Foreign Investment inflow into the country. The equity market size in Thailand increased from $1.72 billion in 1984 to $133.66 billion in 1993, an increase of over 77 times within a decade. The main contribution of this paper is evidence for size category in the context of the equity market in Thailand. Almost all previous studies have focused solely on large stocks or indices. This paper extends the scope beyond large stocks and indices by including small and tiny stocks as well. Further, since there is a distinct absence of detailed academic research on momentum strategy in the Stock Exchange of Thailand after the crisis, this paper also contributes to the extension of existing literature of the study. This research is also of significance for those researchers who would like to compare the performance of this strategy in different countries and markets. In the Stock Exchange of Thailand, we examined the performance of momentum strategy from 2010 to 2014. Returns on portfolios are calculated on monthly basis. Our results on momentum strategy confirm that there is positive momentum profit in large size stocks whereas there is negative momentum profit in small size stocks during the period of 2010 to 2014. Furthermore, the equal weighted average of momentum profit of both small and large size category do not provide any indication of overall momentum profit.

Keywords: momentum strategy, past loser, past winner, stock exchange of Thailand

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Authors: Adel M. Qatawneh

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This paper aimed to determine the importance of knowledge innovation for external audit on anti-corruption in the entire Jordanian bank companies are listed in Amman Stock Exchange (ASE). The study importance arises from the need to recognize the Knowledge innovation for external audit and anti-corruption as the development in the world of business, the variables that will be affected by external audit innovation are: reliability of financial data, relevantly of financial data, consistency of the financial data, Full disclosure of financial data and protecting the rights of investors to achieve the objectives of the study a questionnaire was designed and distributed to the society of the Jordanian bank are listed in Amman Stock Exchange. The data analysis found out that the banks in Jordan have a positive importance of Knowledge innovation for external audit on anti-corruption. They agree on the benefit of Knowledge innovation for external audit on anti-corruption. The statistical analysis showed that Knowledge innovation for external audit had a positive impact on the anti-corruption and that external audit has a significantly statistical relationship with anti-corruption, reliability of financial data, consistency of the financial data, a full disclosure of financial data and protecting the rights of investors.

Keywords: knowledge innovation, external audit, anti-corruption, Amman Stock Exchange

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Authors: Slim Chokri

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Load forecasting is one of the central functions in power systems operations. Electricity cannot be stored, which means that for electric utility, the estimate of the future demand is necessary in managing the production and purchasing in an economically reasonable way. A majority of the recently reported approaches are based on neural network. The attraction of the methods lies in the assumption that neural networks are able to learn properties of the load. However, the development of the methods is not finished, and the lack of comparative results on different model variations is a problem. This paper presents a new approach in order to predict the Tunisia daily peak load. The proposed method employs a computational intelligence scheme based on the Fuzzy neural network (FNN) and support vector regression (SVR). Experimental results obtained indicate that our proposed FNN-SVR technique gives significantly good prediction accuracy compared to some classical techniques.

Keywords: neural network, load forecasting, fuzzy inference, machine learning, fuzzy modeling and rule extraction, support vector regression

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Authors: Godwin Chigozie Okpara

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This paper using standard GARCH, EGARCH, and TARCH models on day of the week return series (of 246 days) from the Nigerian Stock market estimated the model variants’ VaR. An asymmetric return distribution and fat-tail phenomenon in financial time series were considered by estimating the models with normal, student t and generalized error distributions. The analysis based on Akaike Information Criterion suggests that the EGARCH model with student t innovation distribution can furnish more accurate estimate of VaR. In the light of this, we apply the likelihood ratio tests of proportional failure rates to VaR derived from EGARCH model in order to determine the short and long positions VaR performances. The result shows that as alpha ranges from 0.05 to 0.005 for short positions, the failure rate significantly exceeds the prescribed quintiles while it however shows no significant difference between the failure rate and the prescribed quantiles for long positions. This suggests that investors and portfolio managers in the Nigeria stock market have long trading position or can buy assets with concern on when the asset prices will fall. Precisely, the VaR estimates for the long position range from -4.7% for 95 percent confidence level to -10.3% for 99.5 percent confidence level.

Keywords: downside risk, value-at-risk, failure rate, kupiec LR tests, GARCH models

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Authors: Md. Mahadi Hasan Sany, Mumenunnessa Keya, Sharun Khushbu, Sheikh Abujar

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Since the beginning of China's economic reform, trade between the U.S. and China has grown rapidly, and has increased since China's accession to the World Trade Organization in 2001. The US imports more than it exports from China, reducing the trade war between China and the U.S. for the 2019 trade deficit, but in 2020, the opposite happens. In international and U.S. trade, Washington launched a full-scale trade war against China in March 2016, which occurred a catastrophic epidemic. The main goal of our study is to measure and predict trade relations between China and the U.S., before and after the arrival of the COVID epidemic. The ML model uses different data as input but has no time dimension that is present in the time series models and is only able to predict the future from previously observed data. The LSTM (a well-known Recurrent Neural Network) model is applied as the best time series model for trading forecasting. We have been able to create a sustainable forecasting system in trade between China and the US by closely monitoring a dataset published by the State Website NZ Tatauranga Aotearoa from January 1, 2015, to April 30, 2021. Throughout the survey, we provided a 180-day forecast that outlined what would happen to trade between China and the US during COVID-19. In addition, we have illustrated that the LSTM model provides outstanding outcome in time series data analysis rather than RFR and SVR (e.g., both ML models). The study looks at how the current Covid outbreak affects China-US trade. As a comparative study, RMSE transmission rate is calculated for LSTM, RFR and SVR. From our time series analysis, it can be said that the LSTM model has given very favorable thoughts in terms of China-US trade on the future export situation.

Keywords: RFR, China-U.S. trade war, SVR, LSTM, deep learning, Covid-19, export value, forecasting, time series analysis

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Authors: Anton Golubkov, Gleb Ermachkov, Aleksandr Smerdin, Oleg Sidorov, Victor Philippov

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Current collection quality is one of the limiting factors when increasing trains movement speed in the rail sector. With the movement speed growth, the impact forces on the current collector from the rolling stock and the aerodynamic influence increase, which leads to the spread in the contact pressure values, separation of the current collector head from the contact wire, contact arcing and excessive wear of the contact elements. The upcoming trend in resolving this issue is the use of the automatic control systems providing stabilization of the contact pressure value. The present paper considers the features of the contemporary automatic control systems of the current collector’s pressure; their major disadvantages have been stated. A scheme of current collector pressure automatic control has been proposed, distinguished by a proactive influence on undesirable effects. A mathematical model of contact strips wearing has been presented, obtained in accordance with the provisions of the central composition rotatable design program. The analysis of the obtained dependencies has been carried out. The procedures for determining the optimal current collector pressure on the contact wire and the pressure control principle in the pneumatic drive have been described.

Keywords: contact strip, current collector, high-speed running, program control, wear

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Authors: H. Ahmed, A. Persson, L. Sundqvist, B. Biorkman

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Numerous amounts of metallurgical dusts and sludge containing iron as well as some other valuable elements such as Zn, Pb and C are annually produced in the steelmaking industry. These alternative iron ore resources (fines) with unsatisfying physical and metallurgical properties are difficult to recycle. However, agglomerating these fines to be further used as a feed stock for existing iron and steel making processes is practiced successfully at several plants but for limited extent. In the present study, briquettes of integrated steelmaking industry waste materials (namely, BF-dust and sludge, BOF-dust and sludge) were used as feed stock to produce direct reduced iron (DRI). Physical and metallurgical properties of produced briquettes were investigated by means of TGA/DTA/QMS in combination with XRD. Swelling, softening and melting behavior were also studied using heating microscope.

Keywords: iron and steel wastes, recycling, self-reducing briquettes, thermogravimetry

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Authors: Maher Agi, Hardik Soni

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This paper presents a deterministic model for optimized control of the inventory of a perishable product subject to both physical deterioration and degradation of its freshness condition. The demand for the product depends on its current inventory level and freshness condition. Our model allows for any positive amount of end of cycle inventory. Some useful conditions that characterize the optimal solution of the model are derived and an algorithm is presented for finding the optimal values of the price, the inventory cycle, the end of cycle inventory level and the order quantity. Numerical examples are then given. Our work shows how the product freshness in conjunction with the inventory deterioration affects the inventory management decisions.

Keywords: inventory management, lot sizing, perishable products, deteriorating inventory, age-dependent demand, stock-dependent demand

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Authors: Lina Najafian, Hamidreza Vakilifard

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The present study focused on the relationship between the quality of accruals and non-systematic risk. The independent study variables included the ability of accruals, the information content of accruals, and amount of discretionary accruals considered as accruals quality measures. The dependent variable was non-systematic risk based on the Fama and French Three Factor model (FFTFM) and the capital asset pricing model (CAPM). The control variables were firm size, financial leverage, stock return, cash flow fluctuations, and book-to-market ratio. The data collection method was based on library research and document mining including financial statements. Multiple regression analysis was used to analyze the data. The study results showed that there is a significant direct relationship between financial leverage and discretionary accruals and non-systematic risk based on FFTFM and CAPM. There is also a significant direct relationship between the ability of accruals, information content of accruals, firm size, and stock return and non-systematic based on both models. It was also found that there is no relationship between book-to-market ratio and cash flow fluctuations and non-systematic risk.

Keywords: accruals quality, non-systematic risk, CAPM, FFTFM

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Authors: Su-Ping Liu, Yue Tian, Yifan Shen

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This study investigates the effect of corporate governance on earnings management when firms have reported a long stream of earnings increases (hereafter referred to as earnings beaters). We expect that good quality of corporate governance decreases the probability of income-increasing earnings management. We employ transparent tools to capture firms’ opportunistic management behavior, specifically, the repurchase of stock. In addition, we use corporate governance proxies to measure the degree of corporate governance, including board size, board independence, CEO duality, and the frequency of meeting. The results hold after the controlling of variables that suggested in prior literature. We expect that the simple technique, that is, firms’ degree of corporate governance, to be used as an inexpensive first step in detecting earnings management.

Keywords: corporate governance, earnings management, earnings patterns, stock repurchase

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Authors: Manel Youssef, Lotfi Belkacem

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This paper employs multivariate long memory GARCH models to simultaneously estimate mean and conditional variance spillover effects between oil prices and different financial markets. Since different financial assets are traded based on these market sector returns, it’s important for financial market participants to understand the volatility transmission mechanism over time and across these series in order to make optimal portfolio allocation decisions. We examine weekly returns from January 1, 2003 to November 30, 2012 and find evidence of significant transmission of shocks and volatilities between oil prices and some of the examined financial markets. The findings support the idea of cross-market hedging and sharing of common information by investors.

Keywords: oil prices, stock indices returns, oil volatility, contagion, DCC-multivariate (FI) GARCH

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Authors: Wee Tong Liaw, Elaine Wong Yee Sing

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The main objective and focus of this study are to establish the significance of a sustained health promoting workplace on stock and portfolio returns focusing on companies listed on the Singapore stock exchange, using a two-factor model comprising of the single factor CAPM and a 'health promoting workplace' factor. The 'health promoting workplace' factor represents the excess returns derived between two portfolios of component stocks that, when combined, would represent a top tier stock market index in Singapore, namely the STI index. The first portfolio represents companies that are independently assessed by the Singapore’s Health Award, SHA, to have a sustained and comprehensive health promoting workplace (SHA-STI portfolio) and the second portfolio represents companies that had not been independently assessed (Non-SHA STI portfolio). Since 2001, many companies in Singapore have voluntarily participated in the bi-annual Singapore HEALTH Award initiated by the Health Promotion Board of Singapore (HPB). The Singapore HEALTH Award (SHA), is an industry-wide award and assessment process. SHA assesses and recognizes employers in Singapore for implementing a comprehensive and sustainable health promotion programme at their workplaces. When using a ten year holding period instead of a one year holding period, excess returns in the SHA-STI portfolio over Non-SHA STI portfolio were consistently being observed over all test periods, during 2001 to 2013. In addition, when applied to the SHA-STI portfolio, results from the Two Factor Model consistently revealed higher explanatory powers across all test periods for the portfolio as well as all the individual component stocks in SHA-STI portfolio, than the single factor CAPM model. However, with respect to attaining higher level of achievement in the Singapore Health Award, this study did not show any incentive for selecting listed companies that have achieved a higher level of award. Results from this study would give further insights to investors and fund managers alike who intend to consider health promoting workplace as a risk factor in their stock or portfolio selection process, in particular for investors who have a preference for STI’s component stocks and with a longer investment horizon. Key micro factors like management abilities, business development strategies and production capabilities that meet the needs of market would create the demand for a company’s product(s) or service(s) and consequently contribute to its top line and profitability. Thereafter, the existence of a sustainable health promoting workplace would be a key catalytic factor in sustaining a productive workforce needed to support the continued success of a profitable business.

Keywords: asset pricing model, company's performance, stock returns, financial risk factor, sustained health promoting workplace

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Authors: Xiaogang Li, Jieqiong Miao

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As for the problem of the grey forecasting model prediction accuracy is low, an improved grey prediction model is put forward. Firstly, use trigonometric function transform the original data sequence in order to improve the smoothness of data , this model called SGM( smoothness of grey prediction model), then combine the improved grey model with support vector machine , and put forward the grey support vector machine model (SGM - SVM).Before the establishment of the model, we use trigonometric functions and accumulation generation operation preprocessing data in order to enhance the smoothness of the data and weaken the randomness of the data, then use support vector machine (SVM) to establish a prediction model for pre-processed data and select model parameters using genetic algorithms to obtain the optimum value of the global search. Finally, restore data through the "regressive generate" operation to get forecasting data. In order to prove that the SGM-SVM model is superior to other models, we select the battery life data from calce. The presented model is used to predict life of battery and the predicted result was compared with that of grey model and support vector machines．For a more intuitive comparison of the three models, this paper presents root mean square error of this three different models .The results show that the effect of grey support vector machine (SGM-SVM) to predict life is optimal, and the root mean square error is only 3.18%. Keywords: grey forecasting model, trigonometric function, support vector machine, genetic algorithms, root mean square error

Keywords: Grey prediction model, trigonometric functions, support vector machines, genetic algorithms, root mean square error

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Authors: Krishang Surapaneni

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The goal of this project is to determine how to predict important aspects of options, including the ask price. We want to compare different machine learning models to learn the best model and the best hyperparameters for that model for this purpose and data set. Option pricing is a relatively new field, and it can be very complicated and intimidating, especially to inexperienced people, so we want to create a machine learning model that can predict important aspects of an option stock, which can aid in future research. We tested multiple different models and experimented with hyperparameter tuning, trying to find some of the best parameters for a machine-learning model. We tested three different models: a Random Forest Regressor, a linear regressor, and an MLP (multi-layer perceptron) regressor. The most important feature in this experiment is the ask price; this is what we were trying to predict. In the field of stock pricing prediction, there is a large potential for error, so we are unable to determine the accuracy of the models based on if they predict the pricing perfectly. Due to this factor, we determined the accuracy of the model by finding the average percentage difference between the predicted and actual values. We tested the accuracy of the machine learning models by comparing the actual results in the testing data and the predictions made by the models. The linear regression model performed worst, with an average percentage error of 17.46%. The MLP regressor had an average percentage error of 11.45%, and the random forest regressor had an average percentage error of 7.42%

Keywords: finance, linear regression model, machine learning model, neural network, stock price

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Authors: Alexandros Pournaras, Anastasia Papadopoulou, Serafim Kontos, Anastasios Karakostas

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The air quality of modern cities is an important concern, as poor air quality contributes to human health and environmental issues. Reliable air quality forecasting has, thus, gained scientific and governmental attention as an essential tool that enables authorities to take proactive measures for public safety. In this study, the potential of Machine Learning (ML) models to forecast PM2.5 at local scale is investigated in the city of Thessaloniki, the second largest city in Greece, which has been struggling with the persistent issue of air pollution. ML models, with proven ability to address timeseries forecasting, are employed to predict the PM2.5 concentrations and the respective Air Quality Index 5-days ahead by learning from daily historical air quality and meteorological data from 2014 to 2016 and gathered from two stations with different land use characteristics in the urban fabric of Thessaloniki. The performance of the ML models on PM2.5 concentrations is evaluated with common statistical methods, such as R squared (r²) and Root Mean Squared Error (RMSE), utilizing a portion of the stations’ measurements as test set. A multi-categorical evaluation is utilized for the assessment of their performance on respective AQIs. Several conclusions were made from the experiments conducted. Experimenting on MLs’ configuration revealed a moderate effect of various parameters and training schemas on the model’s predictions. Their performance of all these models were found to produce satisfactory results on PM2.5 concentrations. In addition, their application on untrained stations showed that these models can perform well, indicating a generalized behavior. Moreover, their performance on AQI was even better, showing that the MLs can be used as predictors for AQI, which is the direct information provided to the general public.

Keywords: Air Quality, AQ Forecasting, AQI, Machine Learning, PM2.5

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Authors: Namwinwelbere Dabire, Eugene C. Ezin, Adandedji M. Firmin

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The prediction of hydrological flows (rainfall-depth or rainfall-discharge) is becoming increasingly important in the management of hydrological risks such as floods. In this study, the Long Short-Term Memory (LSTM) network, a state-of-the-art algorithm dedicated to time series, is applied to predict the daily water level of Nokoue Lake in Benin. This paper aims to provide an effective and reliable method enable of reproducing the future daily water level of Nokoue Lake, which is influenced by a combination of two phenomena: rainfall and river flow (runoff from the Ouémé River, the Sô River, the Porto-Novo lagoon, and the Atlantic Ocean). Performance analysis based on the forecasting horizon indicates that LSTM can predict the water level of Nokoué Lake up to a forecast horizon of t+10 days. Performance metrics such as Root Mean Square Error (RMSE), coefficient of correlation (R²), Nash-Sutcliffe Efficiency (NSE), and Mean Absolute Error (MAE) agree on a forecast horizon of up to t+3 days. The values of these metrics remain stable for forecast horizons of t+1 days, t+2 days, and t+3 days. The values of R² and NSE are greater than 0.97 during the training and testing phases in the Nokoué Lake basin. Based on the evaluation indices used to assess the model's performance for the appropriate forecast horizon of water level in the Nokoué Lake basin, the forecast horizon of t+3 days is chosen for predicting future daily water levels.

Keywords: forecasting, long short-term memory cell, recurrent artificial neural network, Nokoué lake

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Authors: Nguyen Ngoc Que Tran

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Purpose: The purpose of this paper is to investigate the relationship between internal market orientation, external market orientation, employee commitment and job satisfaction. Design/methodology/approach: This study collected data through a survey and utilized simple linear regression and multiple regression analysis to determine if there was any support for the research hypotheses as presented in the previous chapter. Findings: Using data from 256 employees of four leading joint stock banks in Vietnam, the empirical results indicates that employee commitment is positively related with external market orientation, job satisfaction is positively related to employee commitment, and employee commitment and job satisfaction are positively related to external market orientation. However, job satisfaction has no significant positive effect on external market orientation. Theoretical contribution: The primary contribution to marketing theory arising from this study is the integration of job satisfaction, employee commitment, and external market orientation in a single research model. Practical implications: The major contribution to practice is an external market oriented bank has to respond rapidly to the future needs and preferences of its customers. This could result in high levels of commitment to the service process and in doing so provide Vietnamese joint-stock commercial banks with a competitive advantage. The finding is important for the banking service sector in general and the Vietnamese banking industry in particular.

Keywords: employee commitment, job satisfaction and external market orientation, vietnam, bank

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Authors: Bandreddy Anand Babu, Srinivasa Rao Mandadi, C. Pradeep Reddy, N. Ramesh Babu

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In this paper quickly illustrate the correlation investigation of Auto-Regressive Integrated Moving and Average (ARIMA) and daptive Network Based Fuzzy Inference System (ANFIS) models done by climate estimating. The climate determining is taken from University of Waterloo. The information is taken as Relative Humidity, Ambient Air Temperature, Barometric Pressure and Wind Direction utilized within this paper. The paper is carried out by analyzing the exhibitions are seen by demonstrating of ARIMA and ANIFIS model like with Sum of average of errors. Versatile Network Based Fuzzy Inference System (ANFIS) demonstrating is carried out by Mat lab programming and Auto-Regressive Integrated Moving and Average (ARIMA) displaying is produced by utilizing XLSTAT programming. ANFIS is carried out in Fuzzy Logic Toolbox in Mat Lab programming.

Keywords: ARIMA, ANFIS, fuzzy surmising tool stash, weather forecasting, MATLAB

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Authors: Umberto Cerasani, Luca Cerasani

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Methods for earthquakes forecasting have been intensively investigated in the last decades, but there is still no universal solution agreed by seismologists. Rock failure is most often preceded by a tiny elastic movement in the failure area and by the appearance of micro-cracks. These micro-cracks could be detected at the soil surface and represent useful earth-quakes precursors. The aim of this study was to verify whether tiny raw acceleration signals (in the 10⁻¹ to 10⁻⁴ cm/s² range) prior to the arrival of main primary-waves could be exploitable and related to earthquakes magnitude. Mathematical tools such as Fast Fourier Transform (FFT), moving average and wavelets have been applied on raw acceleration data available on the ITACA web site, and the study focused on one of the most unpredictable earth-quakes, i.e., the August 24th, 2016 at 01H36 one that occurred in the central Italy area. It appeared that these tiny acceleration signals preceding main P-waves have different patterns both on frequency and time domains for high magnitude earthquakes compared to lower ones.

Keywords: earthquake, accelerometer, earthquake forecasting, seism

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Authors: S. L. Tulasi Devi, Shivam Azad

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The primary objective of this study is to analyze the impact of green bond issuance on the stock prices of respective Indian companies. An event study methodology has been employed to study the effect of green bond issuance. For in-depth study and analysis, this paper used different window frames, including 15-15 days, 10-10 days, 7-7days, 6-6 days, and 5-5 days. Further, for better clarity, this paper also used an uneven window period of 7-5 days. The period of study covered all the companies which issued green bonds during the period of 2017-2022; Adani Green Energy, State Bank of India, Power Finance Corporation, Jain Irrigation, and Rural Electrification Corporation, except Indian Renewable Energy Development Agency and Indian Railway Finance Corporation, because of data unavailability. The paper used all three event study methods as discussed in earlier literature; 1) constant return model, 2) market-adjusted model, and 3) capital asset pricing model. For the fruitful comparison between results, the study considered cumulative average return (CAR) and buy and hold average return (BHAR) methodology. For checking the statistical significance, a two-tailed t-statistic has been used. All the statistical calculations have been performed in Microsoft Excel 2016. The study found that all other companies have shown positive returns on the event day except for the State Bank of India. The results demonstrated that constant return model outperformed compared to the market-adjusted model and CAPM. The p-value derived from all the methods has shown an almost insignificant impact of the issuance of green bonds on the stock prices of respective companies. The overall analysis states that there’s not much improvement in the market efficiency of the Indian Stock Markets.

Keywords: green bonds, event study methodology, constant return model, market-adjusted model, CAPM

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Authors: Nabil Elkhatri, Mohamed Louay Metougui, Ngonidzashe Chirinda

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Mining activities have left a legacy of degraded landscapes, prompting urgent efforts for ecological restoration. Reforestation holds promise as a potent tool to rehabilitate these old mining sites, with the potential to sequester carbon and contribute to climate change mitigation. This study focuses on evaluating the carbon stock and sequestration potential of reforestation species in the context of Morocco's mining areas, employing the DeNitrification-DeComposition (DNDC) model. The research is grounded in recognizing the need to connect theoretical models with practical implementation, ensuring that reforestation efforts are informed by accurate and context-specific data. Field data collection encompasses growth patterns, biomass accumulation, and carbon sequestration rates, establishing an empirical foundation for the study's analyses. By integrating the collected data with the DNDC model, the study aims to provide a comprehensive understanding of carbon dynamics within reforested ecosystems on old mining sites. The major findings reveal varying sequestration rates among different reforestation species, indicating the potential for species-specific optimization of reforestation strategies to enhance carbon capture. This research's significance lies in its potential to contribute to sustainable land management practices and climate change mitigation strategies. By quantifying the carbon stock and sequestration potential of reforestation species, the study serves as a valuable resource for policymakers, land managers, and practitioners involved in ecological restoration and carbon management. Ultimately, the study aligns with global objectives to rejuvenate degraded landscapes while addressing pressing climate challenges.

Keywords: carbon stock, carbon sequestration, DNDC model, ecological restoration, mining sites, Morocco, reforestation, sustainable land management.

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Authors: Cameron Truong, Mikhail Bhatia, Yangyang Chen, Viet Nga Cao

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Using a sample of U.S. firms between 1996 and 2011, this paper documents a positive association between options trading volume and future stock price crash risk. This relation is evidently more pronounced among firms with higher information asymmetry, business uncertainty, and short-sale constraints. In a dichotomous cross-sectional setting, we also document that firms with options trading have higher future crash risk than firms without options trading. We further show in a difference-in-difference analysis that firms experience an increase in crash risk immediately after the listing of options. The results suggest that options traders are able of identifying bad news hoarding by management and choose to trade in a liquid options market in anticipation of future crashes.

Keywords: bad news hoarding, cross-sectional setting, options trading, stock price crash

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Authors: Engy Eissa, Dina M. Yousri

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COVID-19 has hit massively the world economy, financial markets and even societies’ livelihood. The infectious disease caused by the most recently discovered coronavirus was claimed responsible for a shrink in the global economy by 4.4% in 2020. Shortly after the first case in Wuhan was identified, a quick surge in the number of confirmed cases in China was evident and a vast spread worldwide is recorded with cases surpassing the 500,000 cases. Irrespective of the disease’s trajectory in each country, a call for immediate action and prompt government intervention was needed. Given that there is no one-size-fits-all approach across the world, a number of containment and adoption policies were embraced. It was starting by enforcing complete lockdown like China to even stricter policies targeted containing the spread of the virus, augmenting the efficiency of health systems, and controlling the economic outcomes arising from this crisis. Hence, this paper has three folds; first, it examines the impact of containment policies taken by governments on controlling the number of cases and deaths in the given countries. Second, to assess the ramifications of COVID-19 on financial markets measured by stock returns. Third, to study the impact of containment policies measured by the government response index, the stringency index, the containment health index, and the economic support index on financial markets performance. Using a sample of daily data covering the period 31st of January 2020 to 15th of April 2021 for the 10 most hit countries in wave one by COVID-19 namely; Brazil, India, Turkey, Russia, UK, USA, France, Germany, Spain, and Italy. The aforementioned relationships were tested using Panel VAR Regression. The preliminary results showed that the number of daily deaths had an impact on the stock returns; moreover, the health containment policies and the economic support provided by the governments had a significant effect on lowering the impact of COVID-19 on stock returns.

Keywords: COVID-19, government policies, stock returns, VAR

Procedia PDF Downloads 181

Authors: Josip Arneric, Blanka Skrabic Peric

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Forecasting of volatility, i.e. returns fluctuations, has been a topic of interest to portfolio managers, option traders and market makers in order to get higher profits or less risky positions. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most common used models are GARCH type models. As standard GARCH models show high volatility persistence, i.e. integrated behaviour of the conditional variance, it is difficult the predict volatility using standard GARCH models. Due to practical limitations of these models different approaches have been proposed in the literature, based on Markov switching models. In such situations models in which the parameters are allowed to change over time are more appropriate because they allow some part of the model to depend on the state of the economy. The empirical analysis demonstrates that Markov switching GARCH model resolves the problem of excessive persistence and outperforms uni-regime GARCH models in forecasting volatility for selected emerging markets.

Keywords: emerging markets, Markov switching, GARCH model, transition probabilities

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Authors: N. Tadayon, H. Yousefnia, S. Zolghadri, A. Ramazani, A. R. Jalilian

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Bone metastases occur in many patients with solid malignant tumors. Recently, 1,2 propylene di-amino tetra methylenephosphonic acid (PDTMP) has been introduced as a suitable carrier in the development of therapeutic bone-avid radiopharmaceuticals. In this study, due to the desirable characteristics of 68Ga, 68Ga-PDTMP was prepared. 68Ga was obtained from SnO2 based generator. A stock solution of PDTMP was prepared by dissolving in 2 N NaOH. A certain volume of the stock solution was added to the vial containing 68GaCl3 and the pH of the mixture was adjusted to 4 using HEPES. Radiochemical purity of the radiolabelled complex was checked by thin layer chromatography. 68Ga-PDTMP was prepared in only 15 min with radiochemical purity of more than 98%. This new bone-seeking complex can be considered as a good candidate of PET-based radiopharmaceutical for imaging of bone metastases.

Keywords: bone metastases, Ga-68, imaging, PDTMP

Procedia PDF Downloads 291

Authors: Rachel Y. Zhang, Christopher K. Anderson

Abstract:

A critical aspect of revenue management is a firm’s ability to predict demand as a function of price. Historically hotels have used simple time series models (regression and/or pick-up based models) owing to the complexities of trying to build casual models of demands. Machine learning approaches are slowly attracting attention owing to their flexibility in modeling relationships. This study provides an overview of approaches to forecasting hospitality demand – focusing on the opportunities created by machine learning approaches, including K-Nearest-Neighbors, Support vector machine, Regression Tree, and Artificial Neural Network algorithms. The out-of-sample performances of above approaches to forecasting hotel demand are illustrated by using a proprietary sample of the market level (24 properties) transactional data for Las Vegas NV. Causal predictive models can be built and evaluated owing to the availability of market level (versus firm level) data. This research also compares and contrast model accuracy of firm-level models (i.e. predictive models for hotel A only using hotel A’s data) to models using market level data (prices, review scores, location, chain scale, etc… for all hotels within the market). The prospected models will be valuable for hotel revenue prediction given the basic characters of a hotel property or can be applied in performance evaluation for an existed hotel. The findings will unveil the features that play key roles in a hotel’s revenue performance, which would have considerable potential usefulness in both revenue prediction and evaluation.

Keywords: hotel revenue, k-nearest-neighbors, machine learning, neural network, prediction model, regression tree, support vector machine

Procedia PDF Downloads 132

Authors: Juliana Barcelos Cordeiro, Khashayar Mahani, Farbod Farzan, Mohsen A. Jafari

Abstract:

Energy disaggregation has been focused by many energy companies since energy efficiency can be achieved when the breakdown of energy consumption is known. Companies have been investing in technologies to come up with software and/or hardware solutions that can provide this type of information to the consumer. On the other hand, not all people can afford to have these technologies. Therefore, in this paper, we present a methodology for breaking down the aggregate consumption and identifying the highdemanding end-uses profiles. These energy profiles will be used to build the forecast model for optimal control purpose. A facility with high cooling load is used as an illustrative case study to demonstrate the results of proposed methodology. We apply a high level energy disaggregation through a pattern recognition approach in order to extract the consumption profile of its rooftop packaged units (RTUs) and present a forecast model for the energy consumption.  

Keywords: energy consumption forecasting, energy efficiency, load disaggregation, pattern recognition approach

Procedia PDF Downloads 277